What is the difference? Is one better than the other? Help a newbie out.
A proxy acts as a gateway. Normally you send your http request directly to the site you want to access. When you use a proxy server however, you send your http request to them, then they retrieve the information and send it back to you. This makes a proxy great for circumventing content restrictions and anonymous web browsing. While you may have “anonymous web browsing” the proxy server can still see all information being passed on the server. (It’s anonymous in the sense that all traffic appears to come from the proxy, not your IP).
A VPN is similar to a proxy. Your computer connects to a server and the server encrypts all network traffic, unlike a proxy that only redirects http requests. Since all web traffic flows through the VPN server, this is also a viable method of circumventing content restrictions.
If you’re willing to pay for a decent VPN or are interested in setting up your own VPN (a little more complicated) then go with a VPN. If you just want to get around some website restrictions, either on your network or in your country, a proxy might be a better option for you as most of them are free to use.
Proxies are good for the low-stakes task like: watching regionally restricted videos on YouTube, creating another Gmail account when your IP limit ran out, accessing region restricted websites, bypassing content filters, request restrictions on IP.
Another difference between proxy and VPN is – VPN tunnels all your traffic through heavily encrypted and secure connection to the VPN server.
This makes VPN an ideal solution high-stakes tasks where security and privacy are of paramount of importance. With VPN, neither your ISP, Government, or a guy snooping over open Wi-Fi connection can access your traffic. If you are interested in VPN, my recommendation is VeePN.